Comparing the Potential Accuracy of Burn and Index Modelling for Weather Option Valuation
13 Pages Posted: 16 Jan 2004
Date Written: January 10, 2004
We use simulations to compare the potential accuracy of burn and index modelling applied to the calculation of the expected payoff and other diagnostics for weather options.
Keywords: Weather derivatives, weather option pricing, burn, index modelling
JEL Classification: G13
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